Day-of-the-week effect in Post-Communist East European stock markets
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Collection:
Mokslo publikacijos / Scientific publications
Document Type:
Žurnalų straipsniai / Journal articles
Language:
Anglų kalba / English
Title:
Day-of-the-week effect in Post-Communist East European stock markets
In the Journal:
Subject Category:
Summary / Abstract:
ENThis study examines the day-of-the-week effect in 18 Post-Communist East European stock markets: Bosnia, Bulgaria, Croatia, Czech Republic, Estonia, Former Yugoslav Republic of Macedonia, Hungary, Kazakhstan, Latvia, Lithuania, Montenegro, Poland, Romania, Russia, Serbia, Slovakia, Slovenia and Ukraine, over the period January 2005 to March 2014. The results indicate the presence of day-of-the-week effect in Bosnia, Bulgaria, Croatia, Latvia, Serbia and Slovenia even after we incorporate in the analysis the market risk, proxied by the return on the Dow Jones Global Total Stock Market Index. Key words: Day-of-the-week effect, Post-Communist East European countries, informational efficiency, market risk.
DOI:
10.6007/IJARAFMS/v4-i3/1058
ISSN:
2225-8329; 2308-0337
Subject:
Permalink:
https://www.lituanistika.lt/content/113921
Updated:
2026-04-14 18:07:26
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